| Issue |
ITM Web Conf.
Volume 12, 2017
The 4th Annual International Conference on Information Technology and Applications (ITA 2017)
|
|
|---|---|---|
| Article Number | 03002 | |
| Number of page(s) | 5 | |
| Section | Session 3: Computer | |
| DOI | https://doi.org/10.1051/itmconf/20171203002 | |
| Published online | 05 September 2017 | |
Set-Valued Stochastic Equation with Set-Valued Square Integrable Martingale
Department of Statistics North China University of Technology, Beijing, 100144, China
* jgli@ncut.edu.cn
** 1416922582 @qq.com
In this paper, we shall introduce the stochastic integral of a stochastic process with respect to set-valued square integrable martingale. Then we shall give the Aumann integral measurable theorem, and give the set-valued stochastic Lebesgue integral and set-valued square integrable martingale integral equation. The existence and uniqueness of solution to set-valued stochastic integral equation are proved. The discussion will be useful in optimal control and mathematical finance in psychological factors.
© The Authors, published by EDP Sciences, 2017
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